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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

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Kelly Capital Growth Investment Criterion, The: Theory And Practice (World Scientific Handbook In Financial Economics Series 3)

4.85 77,792 ratings · 3,122 reviews
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Overview: This volume provides the definitive treatment of fortune's formula or the Kelly capital growth criterion as it is often called. The strategy is to maximize long run wealth of the investor by maximizing the period by period expected utility of wealth with a logarithmic utility function. Mathematical theorems show that only the log utility function maximizes asymptotic long run wealth and minimizes the expected time to arbitrary large goals. In general, the strategy is risky in the short term but as the number of bets increase, the Kelly bettor's wealth tends to be much larger than those with essentially different strategies. So most of the time, the Kelly bettor will have much more wealth than these other bettors but the Kelly strategy can lead to considerable losses a small percent of the time. There are ways to reduce this risk at the cost of lower expected final wealth using fractional Kelly strategies that blend the Kelly suggested wager with cash. The various classic reprinted papers and the new ones written specifically for this volume cover various aspects of the theory and practice of dynamic investing. Good and bad properties are discussed, as are fixed-mix and volatility induced growth strategies. The relationships with utility theory and the use of these ideas by great investors are featured.Contents: "The Early Ideas and Contributions: "Introduction to the Early Ideas and ContributionsExposition of a New Theory on the Measurement of Risk (translated by Louise Sommer) "(D Bernoulli)"A New Interpretation of Information Rate "(J R Kelly, Jr)"Criteria for Choice among Risky Ventures "(H A Latané)"Optimal Gambling Systems for Favorable Games "(L Breiman)"Optimal Gambling Systems for Favorable Games "(E O Thorp)"Portfolio Choice and the Kelly Criterion "(E O Thorp)"Optimal Investment and Consumption Strategies under Risk for a Class of Utility Functions "(N H Hakansson)"On Optimal Myopic Portfolio Policies, with and without Serial Correlation of Yields "(N H Hakansson)"Evidence on the “Growth-Optimum-Model” "(R Roll)""Classic Papers and Theories: "Introduction to the Classic Papers and TheoriesCompetitive Optimality of Logarithmic Investment "(R M Bell and T M Cover)"A Bound on the Financial Value of Information "(A R Barron and T M Cover)"Asymptotic Optimality and Asymptotic Equipartition Properties of Log-Optimum Investment "(P H Algoet and T M Cover)"Universal Portfolios "(T M Cover)"The Cost of Achieving the Best Portfolio in Hindsight "(E Ordentlich and T M Cover)"Optimal Strategies for Repeated Games "(M Finkelstein and R Whitley)"The Effect of Errors in Means, Variances and Co-Variances on Optimal Portfolio Choice "(V K Chopra and W T Ziemba)"Time to Wealth Goals in Capital Accumulation "(L C MacLean, W T Ziemba, and Y Li)"Survival and Evolutionary Stability of Rule the Kelly "(I V Evstigneev, T Hens, and K R Schenk-Hoppé)"Application of the Kelly Criterion to Ornstein-Uhlenbeck Processes "(Y Lv and B K Meister)""The Relationship of Kelly Optimization to Asset Allocation: "Introduction to the Relationship of Kelly Optimization to Asset AllocationSurvival and Growth with a Liability: Optimal Portfolio Strategies in Continuous Time "(S Browne)"Growth versus Security in Dynamic Investment Analysis "(L C MacLean, W T Ziemba, and G Blazenko)"Capital Growth with Security "(L C MacLean, R Sanegre, Y Zhao, and W T Ziemba)"

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Published September 30, 2010
ISBN 18887983
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Leonard C. Maclean
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Leonard C. Maclean
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Leonard C. Maclean is a writer and avid reader based in the Pacific Northwest. Before pursuing writing full-time, they spent over a decade working in education. When not working on their next book, Leonard C. Maclean can usually be found hiking with their dog or trying out new coffee shops in their neighborhood.

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I was completely blown away. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
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Masterpiece from start to finish. The author orchestrated a breathtaking finale. Truly a work of art. I am now a lifelong fan of this author.
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A profoundly satisfying read. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. I will undoubtedly revisit this masterpiece.
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Honestly one of the most premium reading experiences lately. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. An absolute must-read for connoisseurs of the genre.
Barbara Hill
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A wonderful companion for a quiet weekend.
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I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
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I was completely blown away. The pacing was impeccable and the characters felt incredibly authentic. I was completely immersed. Worth every moment spent reading.
Mark Anderson
Mark Anderson July 24, 2025
A very strong entry. A brilliant concept executed with flair. Just a few pacing choices I would change. A wonderful companion for a quiet weekend.
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Excellent, though slightly flawed. A brilliant concept executed with flair. Just a few pacing choices I would change. Quite impressive overall.
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I was completely blown away. The prose is exquisite. It’s accessible yet undeniably sophisticated. Worth every moment spent reading.
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A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. A true literary gem.
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Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. An effortless 5 stars.
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Jennifer Cruz February 17, 2024
Took a moment to build, but the payoff was spectacular. The protagonist was compelling, though some subplots felt slightly overshadowed. A solid 4 stars from me.
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Masterpiece from start to finish. The prose is exquisite. It’s accessible yet undeniably sophisticated. An effortless 5 stars.
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A very strong entry. The middle had a deliberate pace, but the climax was phenomenal. A very distinguished novel.
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A profoundly satisfying read. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. Worth every moment spent reading.
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Such a rich narrative. I became deeply invested in the protagonist's journey. A masterclass in storytelling. Worth every moment spent reading.
Michelle  Davis
Michelle Davis November 28, 2025
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Kimberly Lewis
Kimberly Lewis January 01, 2024
Excellent, though slightly flawed. Beautiful writing, though I craved slightly more depth in the lore. Still, undeniably engaging. A very distinguished novel.
Gary Smith
Gary Smith April 25, 2024
Such a rich narrative. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Nancy Green
Nancy Green June 18, 2024
I was completely blown away. I adored how the story unfolded. It kept me captivated without sacrificing elegance. An absolute must-read for connoisseurs of the genre.
Sarah Perez
Sarah Perez October 27, 2024
Absolutely brilliant. I became deeply invested in the protagonist's journey. A masterclass in storytelling. A true literary gem.
Mark Martinez
Mark Martinez March 28, 2024
Masterpiece from start to finish. It strikes a perfect harmony of dialogue and world-building. Every chapter felt necessary. An effortless 5 stars.
Charles Smith
Charles Smith April 02, 2025
I thoroughly enjoyed the elegance of it. The protagonist was compelling, though some subplots felt slightly overshadowed. A very distinguished novel.
Kevin Scott
Kevin Scott July 15, 2024
A profoundly satisfying read. The prose is exquisite. It’s accessible yet undeniably sophisticated. I am now a lifelong fan of this author.
Anthony Sanchez
Anthony Sanchez March 15, 2025
Took a moment to build, but the payoff was spectacular. It held my rapt attention, even when certain twists were telegraphed. A solid 4 stars from me.
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